Paari School of Business (PSB) is hosting an engaging and intellectually enriching guest talk on an advanced topic in financial engineering. This session, titled “Robust Static Hedging of Path-Dependent Options using Martingale Optimal Transport,” will provide a comprehensive overview of modern approaches to pricing and hedging complex financial derivatives. The talk will delve into how robust, model-independent strategies can be developed using the Martingale Optimal Transport (MOT) framework, offering a powerful alternative to traditional assumptions in financial modeling.
Participants will gain insights into, the challenges of hedging path-dependent options, the role of martingale constraints in financial optimisation, Constructing effective hedging strategies under uncertainty and theoretical foundations and real-world implications in quantitative finance
Speaker: Ms Purba Banerjee, Department of Mathematics, IISc Bangalore
This talk is particularly beneficial for students and enthusiasts of finance, mathematics, data science, and anyone interested in the evolving landscape of quantitative and computational finance.
Join us for an opportunity to deepen your understanding of financial risk management and explore cutting-edge research in the field.